Solvency and Financial Condition Report (SFCR) /

Solvency and Financial Condition Report (SFCR) / Summary Alpha Group is an independent and privately held specialty insurer and we provide insurance solutions and insurance fronting for Agents, Brokers, Associations, Affinity Groups and large Corporations, with a high degree of flexibility. We believe in longterm partnerships with our customers and in aligning interests and combining skills and capabilities for a common purpose: The best possible insurance solution. is licensed to write almost all classes of general insurance business in most Western European countries. The technical result for the parent ( incl. Norwegian branch) was DKK 32.6 million in 2016 against DKK 42.2 million in 2015. The technical result for 2016 was lower than expected in last years section ""Expectations to 2016"". The technical result was affected negative by more than DKK 200 million to strengthen the Norwegian workers compensation provisions and as a result of change in the Ogden rate for discounting UK personal injury claims. Return on investments for the group was DKK 6.8 million in 2016 against DKK 16.7 million in 2015. The net profit for the year 2016 of DKK 16.6 million is not satisfactory. New Executive Order on accounting The new executive order comprises changes to the accounting for and measurement of insurance contracts, hereunder introducing the new terms risk margin on insurance contracts and future profit margin on insurance contracts. The executive order also includes changes to the presentation in the financial statements and the introduction of a new interest rate curve, calculated be the European Insurance and Occupational Pension Authority (EIOPA) is introduced. The change in accounting policies related to future profit margin has had no effect on the income, total assets or equity at 31.12.2015 or 31.12.2016. In 2015, the change in accounting policies related to risk margin has increased the Net profit before tax by DKK 3.3 million (Group DKK 2.3 million) and the Net profit for the year by DKK 0.7 million (Group 0.5 million). At 01.01.2015, the equity was decreased by DKK 37.5 million (Group DKK 37.5 million) and the total assets by DKK 7.3 million (Group DKK 2.7 million). In 2016, the Change in risk margin increased the Net profit before tax by DKK 2.1 million (Group DKK 6.4 million) and the Net profit for the year and equity at 31.12.2016 by DKK 0.5 million (Group DKK 1.4 million). In 2016, the gross premium income increased by DKK 35.9 million (2.0%) to DKK 1,817.9 million. Insurance premiums ceded decreased in 2016 by 0.5%, which resulted in premium income for own account increasing from DKK 775.0 million in 2015 to DKK 816.2 million in 2016, an increase of DKK 41.2 million. Gross claims incurred amounted to DKK 1,524.8 million in 2016 compared to DKK 1,275.2 million in 2015. Recoveries from reinsurers increased by DKK 145.6 million (17.4%) compared with 2015. Costs of claims net of reinsurance increased by DKK 104.0 million to DKK 542.4 million. 1

The insurance operating cost decreased by DKK 15.3 million compared to 2015. In 2016, the insurance operating costs amounted to DKK 355.8 million compared to DKK 371.1 million in 2015. The combined ratio has increased to 103.7 in 2016 from 100.5 in 2015. The increased combined ratio stems from an increased gross claim ratio of 83.2 compared to 70.6 in 2015 and a increase in the expense ratio from 32.6 in 2015 to 33.2 in 2016 and a decrease in reinsurance ratio from 2.7 in 2015 to 12.7 in 2016. The Solvency Ratio at year end 2016 is 217%. A. Business and Performance A.1 Business Name and legal form of the undertaking; Harbour House Sundkrogsgade 21 DK2100 Copenhagen Registration no.: 2106 4440 Name and contact details of the supervisory authority responsible for financial supervision; Finanstilsynet Århusgade 110 DK2100 Copenhagen Name and contact details of the external auditor; KPMG Statsautoriseret Revisionspartnerselskab Dampfærgevej 28 DK2100 Copenhagen Description of the holders of qualifying holdings; is a 100% owned subsidiary of Alpha Holding A/S. Alpha Holding A/S Harbour House Sundkrogsgade 21 DK2100 Copenhagen Registration no.: 2888 4087 Alpha Insurance Group consists of, Nemi Forsikring AS (Norway) and a branch office in Norway. owns 100% of Nemi Forsikring AS. 2

Group structure Alpha Holding A/S (100%) Nemi Forsikring AS (100%) The material lines of business and material geographical areas; Gross premium split on lines of business Sickness and accident insurance 1% Workers compensation insurance 15% Motor liability insurance 25% Motor own damage insurance 27% Marine, aviation and goods insurance 2% Fire and contents insurance (private) 2% Fire and contents insurance (commercial) 10% Liability insurance 4% Credit and surety insurance 3% Legal expenses insurance 6% Other direct insurance and proportional reinsurance 5% Gross premium split Main geographical areas Denmark 16% France 11% Germany 8% United Kingdom 48% Others 17% The technical result was affected negative by more than DKK 200 million to strengthen the Norwegian workers compensation provisions and as a result of change in the Ogden rate for discounting UK personal injury claims. 3

A.2 Underwriting Performance Parent Sickness and accident insurance Workers compensation insurance Motor liability insurance Motor own damage insurance Marine, aviation and goods insurance Fire and contents insurance (private) DKK million 2016 2015 2016 2015 2016 2015 2016 2015 2016 2015 2016 2015 Gross premiums 15,7 23,2 203,3 264,0 349,1 116,1 371,6 183,3 24,1 15,7 26,8 22,9 Gross premium income 17,1 23,3 200,9 241,0 275,0 157,0 290,9 244,1 23,6 5,2 29,7 22,5 Gross claims incurred -20,6-20,1-292,9-181,5-245,1-190,8-331,2-286,3-19,8 1,5-20,3-14,4 Gross insurance operating costs -2,6-5,9-64,0-46,3-107,7-33,9-88,9-36,3-4,8-1,1-8,8-9,2 Profit of ceded business 4,4-1,1 66,1 11,7 76,0 60,6 118,2 88,0-0,6-3,8-1,5-2,0 Technical interest f.o.a. 0,0 0,0 0,0-0,1 0,0 0,0 0,0-0,1 0,0 0,0 0,0 0,0 Insurance technical result -1,7-3,8-89,9 24,8-2,1-7,1-10,8 9,4-1,6 1,9-0,8-3,1 Parent Fire and contents insurance (commercial) Liability insurance Credit and surety insurance Legal expenses insurance Other direct insurance and proportional reinsurance DKK million 2016 2015 2016 2015 2016 2015 2016 2015 2016 2015 2016 2015 Gross premiums 140,1 140,8 58,2 136,3 37,4 44,0 82,2 188,5 61,6 112,7 1.370,3 1.247,4 Gross premium income 155,1 140,9 96,8 187,4 38,2 43,2 87,1 189,9 68,7 87,8 1.283,1 1.342,3 Gross claims incurred -41,8-70,1-92,1-115,1-7,5-2,2-6,0-20,0-50,0-48,3-1.127,2-947,4 Gross insurance operating costs -48,5-41,2-2,3-41,5-13,5-10,3-72,3-137,2-17,4-44,5-430,8-407,5 Profit of ceded business -22,3-21,2 23,2-49,3-10,1-13,8-6,2-9,2-4,8-4,9 242,4 55,1 Technical interest f.o.a. 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0 0,0-0,2 Insurance technical result 42,5 8,4 25,6-18,4 7,3 16,8 2,5 23,4-3,5-9,9-32,6 42,2 Total The technical result was affected negative by more than DKK 200 million to strengthen the Norwegian workers compensation provisions and as a result of change in the Ogden rate for discounting UK personal injury claims. 4

A.3 Investment Performance In DKK 000 Asset category Portfolio Asset held in unit linked and index linked funds 1: Statsobligationer 6: Overordnet 2: Hverken unit-linked eller indeksreguleret 2: Erhvervsobligationer 6: Overordnet 2: Hverken unit-linked eller indeksreguleret 3: Kapitalandele 6: Overordnet 2: Hverken unit-linked eller indeksreguleret 7: Kontanter og indskud 6: Overordnet 2: Hverken unit-linked eller indeksreguleret Dividends Interest Rent Net gains and losses Unrealised gains and losses 0 5.154 0-2.576-13.742 0 2.772 0 1.535-277 3.167 0 0 0 27.074 0 109 0 0 0 A.4 Performance of other activities Not relevant. A.5 Any other information Not relevant. 5

B. System of Governance B.1 General information on the system of governance There were no changes in the organisation of the system of governance during 2016. B.2 Fit and proper requirements When a new member joins the Board of Directors or the Executive Board, that person must be evaluated on the basis of the Fit & Proper compliance concept established in the Fit & Proper compliance policy and guideline. The actual evaluation must be made in the light of the position held by that person. Key personnel employed by Alpha Insurance are also covered by this policy and the related guideline. Key personnel and other relevant employees are evaluated in terms of Fit & Proper compliance at recruitment. The Executive Board of Alpha Insurance must secure that the company s policies and guidelines are complied with when outsourcing key functions to external service providers. This implies that persons performing work for the company in accordance with outsourcing agreements also must be evaluated in terms of Fit & Proper compliance. At least once a year or as needed, persons covered by this policy must be evaluated on the basis of the Fit & Proper compliance concept (specified in details in the related guideline). Reevaluation as needed must as a minimum be made if a person covered by this policy is accused of violation of the criminal code, financial law or other relevant legislation. The reevaluation must also be made if a person covered by this 6

policy behaves in a way that gives a reason to believe that the person concerned is not fit to perform the job properly. Moreover, a reevaluation must be made if there is a reason to believe, that a person intend to oppose the company in a way implying that the operation of the company does not comply with applicable law, or if the situation gives a reason to believe that a person will increase the risk of financial crime by way of money laundering or financial terrorism. A reevaluation must also be made if there is a reason to believe that the company is exposed to risk of mismanagement. The complete managerial skills and experience must as a minimum include the following areas: Market knowledge o Knowledge and insight of the business as well as of financial and market areas in which the Alpha Insurance operates especially worker s compensation and investment. Business strategy and model o Proper knowledge and understanding of the company s strategy and business model Form of management risk management and control systems o Knowledge and understanding of the risks exposed to the company and the ability to handle these o The ability to evaluate the form of management and its efficiency as well as to effect changes in the form of management if necessary, for example due to market developments. Financial and actuarial analyses o The ability to interpret financial and actuarial information, to identify significant issues, to implement suitable controls and to take the necessary measures based on such information Regulatory framework and requirements o Knowledge and understanding of the regulatory framework under which Alpha Insurance operates and the ability to adjust the company to follow new legal requirements within the time frames set by the Danish Financial Supervisory Authority B.3 Risk management system including the own risk and solvency assessment The rules of procedure of the Board of Directors as well as its description of the Alpha business model and strategy form the basis of the capital and risk management at Alpha. The policies are all are worded based on the Board of Directors assessment of what is proportionate and adequate and based on Alpha s current business model including: The nature, scale and complexity of Alpha s risks and activities including geography of business The size of Alpha s business The organization and group structure The lines of business that Alpha is offering The risk management function is responsible for overseeing and controlling risk. The designed risk management system of Alpha must at least include the following: Underwriting and insurance liabilities Investments Asset/liability management Liquidity and concentration risk Operational risk 7

Reinsurance Consequently, the detailed policies as mentioned above must include details on: Defined risk categories and methods of measuring risk A description of how the company controls the relevant risk categories and any possible accumulation of risk Describe the link between the ORSA, Own funds etc, solvency capital requirement, minimum capital requirement and risk limits. This is described using the Standard Capital Model structure and is combined and summed up in the solvency capital requirement calculation. The risk management function shall on a yearly basis report as part of the ORSA reporting and conclude to the Board of Directors the following: Whether the basis for conclusion of the Board of Directors is sufficient and adequate That all risk are identified, measured, controlled and reported Also including risk arising from outsourced activities That they have participated actively in the development of Alpha s risk strategy and form part of significant decisions before they are taken from a risk perspective Further the risk management function shall report to the Board of Directors if: He or she has any concerns regarding development in risks and other specific areas An investment made results in a significant risk or change to the risk profile. The Board of Directors and the Executive Board must perform a risk assessment including Qualitative description of the most significant risks Assessments of which identified risks are met with capital and which are met by risk mitigation Description of methods and assumptions Assessment of deviations from the risk profile of the Company and the solvency calculations, including quantifications Assessment of how the risk profile, risk limits, solvency requirement and basic own funds are linked The Company must document this risk assessment in a way that makes it possible for a third party to evaluate assessments and calculations. The documentation must take a form such that it, on request, can be sent to the Danish Financial Supervisory Authority. An internal report must be written after each risk assessment to be communicated to relevant employees. The Danish Executive Order on management of insurance business section 3 no. 2s specifies that the Board of Directors at least once a year must identify and quantify the significant risks which the Company is or will be exposed to. The Company must also have efficient procedures in place to identify, manage, monitor, control and report on the risks which the Company is or may be exposed to, see section 71 of the Danish Financial Business Act. The Executive Board must secure that Alpha is in possession of a complete risk exposure assessment across significant risk areas. The Executive Board must report on this by an annual risk identification and assessment to the Board of Directors, see the annual cycle of work adopted by the Board of Directors. Management must secure that the risk identification is part of the prospective decisionmaking process. According to section 70 of the Danish Financial Business Act, the Board of Directors must prepare written policies on the Company s primary activities, and with it establish its risk profile. The policies provide the 8

scope of the risks undertaken in the insurance business and in the areas of investment, IT and operational risks. The Board of Directors and the Executive Board must secure that the complete risk undertaken by the Company is reported and assessed sufficiently and conservatively, including which assets and liabilities are important to the Company. Credit risks assessments are based on Standard & Poor. Further are collected current ratings on reinsures from brokers and other assets from public available sources. B.4 Internal control system Alpha Insurance shall have appropriate internal controls in place in order to ensure that all persons with operational and oversight responsibilities act in accordance with the undertaking's objectives and in compliance with applicable laws, regulations and administrative provisions. In order to ensure an economic valuation that is reliable, accurate and in compliance with Article 75 of Directive 2009/138/EC, Alpha Insurance shall establish and implement appropriate internal controls for the valuation of assets and liabilities of Alpha Insurance. Alpha Insurance shall establish, implement, maintain and document clearly defined policies and procedures for the process of valuation, including the description and definition of roles and responsibilities of the personnel involved with the valuation, the relevant models, and the sources of information to be used. At the request of the supervisory authorities, Alpha Insurance shall undertake an external, independent valuation or verification of the value of material assets and liabilities. At all time Alpha Insurance must: (a) provide sufficient resources, both in terms of quality and quantity, to develop, calibrate, approve and review valuation approaches used for solvency purposes; (b)establish internal control processes which include all of the following: (i)an independent review and verification on a regular basis of the information, data, and assumptions which are used in the valuation approach, its results, and the suitability of the valuation approach with respect to valuation of the items referred to in point (a) of Article 263; (ii)oversight by the persons who effectively run the undertaking of the internal processes for approval of those valuations and the process in place to take account of any external, independent valuation or verification of the value of material assets or liabilities. Further to this the management board must assure that all limits, lines, controls etc. defined in the various policies and guidelines for Alpha Insurance is controlled on a regular basis. The management board has appointed Lisette Tonia Nygaard as responsible for the compliance function at Alpha Insurance. B.5 Internal audit function The management board has appointed Mads Myrtue Thomsen as responsible for the internal audit function at Alpha Insurance. The only activity for Mads Myrtue Thomsen in the Company is the internal audit function. 9

B.6 Actuarial function The actuarial function through 2016 has included the Actuarial Team, headed by Chief Actuary Sverre Lorenzen and Actuarial Key Function Holder Mikkel Larsen. B.7 Outsourcing Without informing the Board of Directors in advance, the Executive Board has the framework mentioned in the overall risk profile at their disposal. The Executive Board may pass on the authorities to the persons operationally responsible for the risk areas established. However, it must be secured that the overall perspective of the investment risks remains within Alpha Insurance s central risk management environment. The reporting must be made by way of written reports and written communication between the Executive Board and the Board of Directors. The purpose of the reporting is to provide the stakeholders with an update of the current risk situation and the outsourced assets and to ensure that Alpha Insurance is always compliant with the current Executive Order on outsourcing as well as the guidelines for outsourcing defined by the Board of Directors. B.8 Any other information Not relevant. C. Risk Profile Identification and quantification of risks Significant risks are monitored and quantified in the Risk Register. The Risk Register is updated if changes or new risks occur and at least on a quarterly basis. Risks are quantified both gross and net of mitigation. The risks are monitored continuously and reassessed by the Management. Reassessment in connection with the preparation of the assessment of the overall solvency requirement reporting of Alpha Insurance is shown in the table below: Type of risk Underwriting risk denotes the risk of a change in value of claims due to a deviation of actual claims from the expected amount of claims caused by coincidence, error or change. The underwriting risk includes premium risk, reserve risk and catastrophe risk Market risk arises from the level or volatility of market prices of financial instruments. Market risk includes the impact of movements in the level of financial variables such as stock prices, interest rates, immovable property prices and exchange rates. Concentration risk denotes the risk arising from a company having exposure to individual risks or strongly correlated risks with a significant potential for loss or default. Significant according to risk policy Reassessment of risk, SCR report Met with mitigation or capital Yes Yes Capital Yes Yes Capital Yes Yes Capital 10

Liquidity risk denotes the risk of a company being unable to meet its financial obligations when they fall due because of a lack of marketability of investments Counterparty default risk reflect possible losses due to unexpected default of the counterparties and debtors The counterparty default risk includes riskmitigating contracts, such as reinsurance arrangements, securitisations and derivatives, and receivables from intermediaries, as well as any other credit exposures which are not included in the market risk Operational risk is the risk of loss arising from inadequate or failed internal processes, or from personnel and systems, or from external events. Operational risk include legal risks, and exclude risks arising from strategic decisions, as well as reputation risks. Strategic risk is the risk arising from strategic business decisions. Strategic risk includes the risk of business decisions failing to adapt to a changed operating environment, also control risk, reputational risk, group risk and profit risk and included in the strategic risk Control risk is the risk of a loss arising from limited management and controls. Control risk includes risk of lacking competencies and knowledge. Higher control risk are expected in small organizations. Reputational risk is the risk arising from potential damage to a company s reputation as a consequence of adverse publicity (e.g., among customers, business partners, shareholders, associations). Similar to strategic risk, reputational risk is usually one that arises in combination with other risks. However, it can be an individual risk too. Group risk arises when the company has subsidiary companies, associated companies and/or a parent company. The weight to be plazed on subsidiaries and associated companies depends on their number and size. Risk connected with earnings in the company s ability to achieve a surplus. By earning a high income, the company will be better able to absorb future losses. In the company has a low income, it must be considered whether this should result in an increase in the solvency requirement. Earning potential must also be evaluated in relation to dividend policies. Yes Yes Mitigation Yes Yes Capital Yes Yes Capital Yes Yes Mitigation Yes, included under strategic risk Yes, included under strategic risk Yes, included under strategic risk Yes, included under strategic risk Yes, included under strategic risk Yes, included under strategic risk Yes, included under strategic risk Yes, included under strategic risk Mitigation Mitigation Mitigation Mitigation Risk mitigation techniques According to the internal guidelines, Alpha Insurance must in connection with the reporting on the solvency capital assessment be able to demonstrate the extent to which its risk mitigation techniques recognised in the calculation of the solvency capital requirement meet the requirements defined in the risk mitigation techniques under Solvency II. 11

Risk mitigation are built into policies and guidelines. Further mitigation regarding Underwriting, liquidity and strategic risks are not included in the standard formula but supplemented in the following. Mitigating Underwriting Risk All reinsurance contracts have been signed, according to the programme approved by the Board of Directors. Mitigating Liquidity Risk Liquidity risk is most relevant if major losses occur and until reinsurance cover is received liquidity are necessary. Since the company invest in highly secured papers, liquidity will be available under these circumstances. Mitigating Strategic Risk Strategic risk is the risk arising from strategic business decisions. Strategic risk includes the risk of business decisions failing to adapt to a changed operating environment, also control risk, reputational risk, group risk and profit risk and included in the strategic risk The existing and new business in the Group and the segments in which it operates creates strategic risks, which can lead to a longterm reduction in corporate value. Strategic risk is mitigated in the work in the Boards Business and Strategic Planning and in the other Board meetings. C.1 Underwriting risk See introduction under C. C.2 Market risk Currency risk: To avoid the currency risk in the technical reserves, it is the goal to hedge this risk by investing in foreign currency investments or hedging the currency risk by buying forward currency contracts. Interest risk: To avoid the risk of mismatch in duration between the technical reserves and the duration of the investments, it is the goal to hedge this risk by investing in bonds with the same duration as the technical reserves. The most significant market risks are the strategic equity risks and the currency risk. Assets Liabilities Interest rate down shock 359.983 612.893 Interest rate up shock 359.983 612.893 Strategic participations (type 1 equities) 130.344 Other type 2 Equity 228 Strategic participations (type 2 equities) 145.757 Spread risk bonds and loans 137.953 Market risk concentrations 491.618 Currency exposure 176.936 12

C.3 Credit risk Except Sydbank which is has a credit quality step 2, the 10 largest single name exposures are rated with credit quality step 1. Type 1 exposures, the 10 largest single name exposures Loss given default Swiss Re Group 124.608 Citadel Risk 64.587 Greenlight Re 50.758 Sydbank 38.452 Peak Reinsurance Company 33.835 Berkshire Hathaway 16.758 New Re 14.430 General Insurance Corporation of India 11.610 RGA 4.237 Munich RE group 2.849 Type 2 exposures Receivables from Intermediaries due for more than 3 months All type 2 exposures other than receivables from 29.726 Intermediaries due for more than 3 months C.4 Liquidity risk The total amount of the expected profit included in future premiums is 29.337 DKK 000. Best estimate premium provisions are calculated on data aggregated to Solvency II Lines of Business, using the simplification from the EIOPA Guideline on Technical Provisions. For each line of business, the expected profit included in future premiums on each line of business is the following. Line of Business EPIFP, net DKK 000 02. Income protection insurance 309 03. Workers' compensation insurance 9.353 04. Motor vehicle liability insurance 7.247 05. Other motor insurance 6.063 07. Fire and other damage to property insurance 3.845 09. Credit and suretyship insurance 635 12. Miscellaneous financial loss 1.885 Total 29.338 C.5 Operational risk The dominant factor in the standard formula is the reserve risk component. Operational risk Information on technical provisions DKK 000 Life gross technical provisions (excluding risk margin) 140.453 Nonlife gross technical provisions (excluding risk margin) 1.550.085 13

Operational risk Information on earned premiums Earned nonlife gross premiums (previous 12 months) 1.170.262 Earned nonlife gross premiums (12 months prior to the previous 12 months) 1.248.060 C.6 Other material risks Not relevant. C.7 Any other information Alpha Insurance uses stress tests on individual risks in order to calculate a combined loss potential, meaning that the potential loss is calculated in every situation as if Alpha would be affected by the risk actually occurring. Stress tests have been performed both on relevant parameters, scenarios and reverse stress tests to identify the most significant sources of risk Reverse stress testing The reserve stress testing have been done to identify the most important sources of risk and on those risks have been identified relevant scenarios to challenge the solvency calculations. Calculations have been made to identify risks that theoretically could result in a solvency ratio of 100% Market risk are as such not a major risk in the company. Counterparty risk, Health Underwriting Risk and Nonlife Underwriting Risk are significant risks in the company. D. Valuation for Solvency Purposes D.1 Assets The valuation for solvency purposes is the same as in the financial statement. Assets Solvency II value DKK '000 Intangible assets 17.982 Investments (other than assets held for indexlinked and unitlinked contracts) 652.391 Holdings in related undertakings, including participations 161.835 Equities 130.572 Bonds 359.983 Insurance and intermediaries receivables 357.077 Reinsurance receivables 259.707 Receivables (trade, not insurance) 102.840 Cash and cash equivalents 76.523 Any other assets, not elsewhere shown 19.915 14

D.2 Technical provisions The overall process for technical provisions is before quarter end, to Analyze ultimate claims costs on binder data, to calculate IBNR and Loss Ratios used in the Rollforward Decide final Loss Ratios (and for a few binders, IBNR amounts) After quarter end, to Assess possible adjustments in the Rollforward and decide final numbers Retrieve premium and claims data from each binder and calculate o Prorata premium reserves, gross and ceded of reinsurance o Payments and changes in case reserves to get gross and ceded RBNS reserves Calculate IBNR, discount effects, best estimate premium reserves and risk margin Undiscounted claims provisions Most of the calculations are done in the chainladder model on both paid and incurred triangles, adjusted for large claims with exclusions of extreme values and including tail. Discounting of claims provision Discounting are calculated after year end with interest rates from EIOPA including Volatility Adjustment. The calculations are done in Excel work books, for both gross and ceded claims provision and for each currency. The effect of using Volatility Adjustment is a reduction on DKK 000 4.229 in Own Funds after tax, and reductions of SCR on DKK 000 51 and MCR on DKK 000 23. Best Estimate Premium Provision Best estimate premium provisions are calculated on data aggregated to Solvency II Lines of Business, using the simplification from the EIOPA Guideline on Technical Provisions. Risk margin Alpha uses a simplification as referred to in Article 58(a) of Commission Delegated Regulation 2015/35, with method 1 as described in the guidelines from EIOPA to approximate the risks and subrisks within the relevant modules and submodules used to calculate the future Solvency Capital Requirements (SCR). 15

In DKK 000 NonLife Technical Provisions per 31.12.2016 NonLife Insurance Gross Total best estimate Recoverables from reinsurance Net Risk margin Medical expense insurance 0 0 0 0 Income protection insurance 12.687 5.764 6.922 301 Workers' compensation insurance 490.343 215.018 275.324 2.298 Motor vehicle liability insurance 367.795 278.080 89.716 4.214 Other motor insurance 434.681 327.539 107.142 6.321 Marine, aviation and transport insurance 36.792 30.100 6.693 0 Fire and other damage to property insurance 49.206 3.666 45.540 6.020 General liability insurance 234.287 194.514 39.773 3.913 Credit and suretyship insurance 17.278 9.318 7.960 602 Legal expenses insurance 4.462 2.688 1.774 3.612 Assistance 1 0 1 0 Miscellaneous financial loss 13.479 9.111 4.369 1.505 Total Nonlife 1.661.012 1.075.799 585.213 28.788 Life and Health Technical Provisions per 31.12.2016 Annuities stemming from nonlife insurance contracts and relating to health insurance obligations 29.526 1.847 27.680 1.315 Total Life 29.526 1.847 27.680 1.315 Total 1.690.538 1.077.645 612.893 30.102 D.3 Other liabilities The valuation for solvency purposes is the same as in the financial statement. Liabilities Solvency II value DKK '000 Debts owed to credit institutions 28.434 Financial liabilities other than debts owed to credit institutions 94.571 Insurance & intermediaries payables 32.090 Reinsurance payables 174.274 Subordinated liabilities 148.688 D.4 Alternative methods for valuation Not relevant. D.5 Any other information Balance sheet Day 1 16

Solvency II value C0010 Statutory accounts value Difference Assets Intangible assets 17.702.281 17.702.281 Property, plant & equipment held for own use 481.081 481.081 Investments 669.907.227 669.907.227 Reinsurance recoverables 962.101.616 1.001.835.396 39.733.780 Insurance and intermediaries receivables 376.281.893 376.281.893 Reinsurance receivables 113.992.317 113.992.317 Receivables (trade, not insurance) 81.521.210 81.521.210 Cash and cash equivalents 51.508.775 51.508.775 Any other assets, not elsewhere shown 21.286.711 21.288.709 1.998 Total assets 2.294.783.111 2.334.518.889 39.735.778 17

Liabilities Technical provisions nonlife 1.548.349.345 1.615.459.147 67.109.802 Technical provisions life (excluding indexlinked and unitlinked) 12.817.889 12.817.889 Deposits from reinsurers 26.180.042 26.180.042 Deferred tax liabilities 4.427.918 4.427.918 Debts owed to credit institutions 23.302.439 23.302.439 Financial liabilities other than debts owed to credit institutions 53.668.505 53.668.505 Insurance & intermediaries payables 13.594.314 13.594.314 Reinsurance payables 96.777.326 96.777.326 Subordinated liabilities 149.250.000 149.250.000 Total liabilities 1.928.367.777 1.995.477.579 67.109.802 Excess of assets over liabilities 366.415.334 339.041.310 27.374.024 E. Capital Management E.1 Own funds According to the Alpha Insurance internal policies and guidelines, the Board of Directors and Management must ensure that the Company has an adequate capital base and that internal procedures are in place for risk measurement and control so that a continuous assessment can be implemented and a capital base of an appropriate size, type and distribution can be maintained as appropriate to cover the Company s risks. The Company s Own Funds includes both tier 1, 2 and 3 elements. Tier 1 consists of ordinary share capital and retained earnings, excluding deferred tax assets. Tier 2 is subordinate loan capital while tier 3 is the deferred tax asset. DKK 000 Total Tier 1 Tier 2 Tier 3 Ordinary share capital (gross of own shares) 75.000 75.000 Share premium account related to ordinary share capital 141.500 141.500 Surplus funds 70.117 70.117 Reconciliation reserve 69.300 69.300 Subordinated liabilities 148.688 148.688 An amount equal to the value of net deferred tax assets 548 548 Not all the tier 2 and none of the tier 3 capital are eligible. DKK 000 Total Tier 1 Tier 2 Tier 3 18

Total eligible own funds to meet the SCR 462.786 355.917 106.869 Total eligible own funds to meet the MCR 375.154 355.917 19.236 The subordinate loan capital was obtained before January 1. 2016. E.2 Solvency Capital Requirement and Minimum Capital Requirement The company is using the Standard Formula without Undertaking Specific Parameters for calculation of the Solvency Capital Requirement (SCR). Each module in the Standard Formula is shown below together with the aggregated SCR after diversification. DKK 000 SCR Market risk 101,255 Counterparty default risk 12,327 Health underwriting risk 82,436 Nonlife underwriting risk 122,353 Intangible asset risk 14,385 Operational risk 47,135 Lossabsorbing capacity of deferred taxes (60,335) Solvency Capital Requirement 213,738 The company uses simplifications in the calculation of risk mitigating effect in the counterparty module, in the calculation of expense risk in the health SLT module and on the asset side of interest rate risk. The Minimum Capital Requirement is kdkk 96.182. The calculation is based on the following input. DKK 000 Net TP Net premium Income protection insurance and proportional reinsurance 9,070 7,258 Workers' compensation insurance and proportional reinsurance 311,591 57,929 Motor vehicle liability insurance and proportional reinsurance 87,915 192,107 Other motor insurance and proportional reinsurance 93,322 203,655 Marine, aviation and transport insurance and proportional reinsurance 5,216 4,908 Fire and other damage to property insurance and proportional 46,776 100,362 reinsurance General liability insurance and proportional reinsurance 39,962 28,042 Credit and suretyship insurance and proportional reinsurance 8,441 17,408 Legal expenses insurance and proportional reinsurance 1,798 12,124 Assistance and proportional reinsurance 1 Miscellaneous financial loss insurance and proportional reinsurance 10,167 50,054 E.3 Use of the durationbased equity risk submodule in the calculation of the Solvency Capital Requirement Not relevant. 19

E.4 Differences between the standard formula and any internal model used Not relevant. E.5 Noncompliance with the Minimum Capital Requirement and noncompliance with the Solvency Capital Requirement Not relevant. E.6 Any other information Not relevant. 20

Templates Appendix I: Quantitative reporting templates Balance sheet S.02.01.a Solo quarterly (a) 10-03-2017 (Publiceret) Alpha Ins Solo Q4 - efter rettelser SolvencyTool Fund number Assets Solvency II value Goodwill Deferred acquisition costs Intangible assets 17.981.643 Deferred tax assets 547.554 Pension benefit surplus 0 Property, plant & equipement held for own use 998.370 Investments (other than assets held for index-linked and unit-linked funds) 652.390.799 Property (other than for own use) 0 Participations 161.835.473 Equities 130.572.192 Equities - listed 130.343.722 Equities - unlisted 228.470 Bonds 359.983.133 Government Bonds 222.029.725 Corporate Bonds 137.953.408 Structured notes 0 Collateralised securities 0 Investment funds 0 Derivatives 0 Deposits other than cash equivalents 0 Other investments 0 Assets held for index-linked and unit-linked funds 0 Loans & mortgages 0 Loans on policies 0 Loans & mortgages to individuals 0 Other loans & mortgages 0 Reinsurance recoverables from: 1.077.645.301 Non-life and health similar to non-life 1.059.300.014 Non-life excluding health 867.780.894 Health similar to non-life 191.519.120 Life and health similar to life, excluding health and index-linked and unit-linked 18.345.287 Health similar to life 18.345.287 Life excluding health and index-linked and unit-linked 0 Life index-linked and unit-linked 0 Deposits to cedants 0 21

Insurance & intermediaries receivables 357.076.963 Reinsurance receivables 259.707.069 Receivables (trade, not insurance) 102.839.972 Own shares 0 Amounts due in respect of own fund items or initial fund called up but not yet paid in 0 Cash and cash equivalents 76.522.695 Any other assets, not elsewhere shown 18.369.410 Total assets 2.564.079.775 Liabilities Solvency II value Technical provisions non-life 1.578.872.808 Technical provisions non-life (excluding health) 1.175.823.845 TP calculated as a whole 0 Best Estimate 1.160.911.755 Risk margin 14.912.091 Technical provisions - health (similar to non-life) 403.048.962 TP calculated as a whole 0 Best Estimate 389.173.370 Risk margin 13.875.592 Technical provisions - life (excluding index-linked and unit-linked) 141.767.654 Technical provisions - health (similar to life) 141.767.654 TP calculated as a whole 0 Best Estimate 140.453.137 Risk margin 1.314.517 Technical provisions life (excluding health and index-linked and unit-linked) 0 TP calculated as a whole 0 Best Estimate 0 Risk margin 0 Technical provisions index-linked and unit-linked 0 TP calculated as a whole 0 Best Estimate 0 Risk margin 0 Other technical provisions Contingent liabilities 0 Provisions other than technical provisions 0 Pension benefit obligations 0 Deposits from reinsurers 8.917.133 Deferred tax liabilities 0 Derivatives 0 Debts owed to credit institutions 28.434.074 Financial liabilities other than debts owed to credit institutions 94.571.213 Insurance & intermediaries payables 32.090.105 Reinsurance payables 174.273.902 22

Payables (trade, not insurance) 0 Subordinated liabilities 148.688.000 Subordinated liabilities not in BOF 0 Subordinated liabilities in BOF 148.688.000 Any other liabilities, not elsewhere shown 0 Total liabilities 2.207.614.889 Solvency II value Excess of assets over liabilities 356.464.886 23

S.05.01.a Solo quarterly (a) 10-03-2017 (Publiceret) Alpha Ins Solo Q4 - efter rettelser Forsikring vedrørende udgifter til lægebehandli ng Forsikring vedrørende indkomstsikri ng Arbejdsskad eforsikring Motoransvar sforsikring Non-life direct business and accepted proportional reinsurance Anden motorforsikrin g Sø-, luftfartsog transportforsi kring Brand og andre skader på ejendom Almindelig ansvarsforsik ring Kredit- og kautionsforsi kring Retshjælpsfo rsikring Assistance Diverse økonomiske tab Non-life accepted non-proportional reinsurance Ikkeproportio nal sygegenforsi kring Ikkeproportio nal ulykkesgenfo rsikring Ikkeproportio nal luftfarts-, sø- og transportgenf orsikring Ikkeproportio nal ejendomsgen Premiums written Reinsurers' share 0 7.044.169 115.983.417 146.255.877 201.914.226 23.626.999 52.917.797 34.703.696 19.669.043 6.802.677 0 8.876.419 0 0 0 0 617.794.320 Net 0 8.654.621 87.271.208 202.862.603 169.707.340 477.273 107.636.821 29.879.369 17.780.534 75.444.287 0 52.772.590 0 0 0 0 752.486.646 Premiums earned Gross - Direct business 0 17.094.165 197.380.225 283.938.603 305.821.508 25.084.413 169.107.951 96.082.495 37.401.271 81.917.603 3 69.267.204 ########## Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance 0 0 0 0 0 accepted Reinsurers' share 0 5.116.123 95.296.333 131.256.597 192.151.029 25.224.683 54.873.391 55.220.325 19.666.416 6.279.964 3 13.828.332 0 0 0 0 598.913.197 Net 0 11.978.042 102.083.892 152.682.006 113.670.479-140.270 114.234.560 40.862.170 17.734.855 75.637.639 0 55.438.872 0 0 0 0 684.182.245 Claims incurred Gross - Direct business 0 20.902.237 195.037.330 245.405.468 331.664.412 19.817.408 56.709.460 98.191.913 7.496.985 6.219.980-745 50.115.057 ########## Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance 0 0 0 0 0 accepted Reinsurers' share 0 10.328.394 146.055.245 157.456.703 237.095.255 17.578.639 18.476.904 80.891.088 3.685.220 3.481.213 0 4.048.745 0 0 0 0 679.097.406 Net 0 10.573.843 48.982.085 87.948.765 94.569.157 2.238.769 38.232.556 17.300.825 3.811.765 2.738.767-745 46.066.312 0 0 0 0 352.462.099 Changes in other technical provisions Gross - Direct business 0 0 0 0 0 0 0 0 0 0 0 0 0 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance 0 0 0 0 0 accepted Reinsurers' share 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Net 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Expenses incurred 0 3.847.001 76.456.078 52.735.189 16.408.981-1.557.257 33.545.808 1.368.310 5.649.477 66.113.854 132 9.289.445 0 0 0 0 263.857.018 Other expenses 0 Total expenses 263.857.018 forsikring Total Non- Life obligation 24

Sygeforsikrin g Forsikring med gevinstandel e Indeksregule ret og unitlinked forsikring Life insurance Life reinsurance Total Life obligation Anden livsforsikring Annuiteter hidrørende fra skadesforsikr ingsaftaler og relateret til sygeforsikrin gsforpligtelse r Annuiteter Sygegenforsi hidrørende kring fra skadesforsikr ingsaftaler og relateret til andre forsikringsfor pligtelser end sygeforsikrin gsforpligtelse r Livsgenforsik ring Premiums written Gross 0 0 0 0 0 0 0 0 0 Reinsurers' share 0 0 0 0 0 0 0 0 0 Net 0 0 0 0 0 0 0 0 0 Premiums earned Gross 0 0 0 0 0 0 0 0 0 Reinsurers' share 0 0 0 0 0 0 0 0 0 Net 0 0 0 0 0 0 0 0 0 Claims incurred Gross 0 0 0 0 97.837.514 0 0 0 97.837.514 Reinsurers' share 0 0 0 0 15.757.297 0 0 0 15.757.297 Net 0 0 0 0 82.080.217 0 0 0 82.080.217 Changes in other technical provisions Gross 0 0 0 0 0 0 0 0 0 Reinsurers' share 0 0 0 0 0 0 0 0 0 Net 0 0 0 0 0 0 0 0 0 Expenses incurred 0 0 0 0 21.633.997 0 0 0 21.633.997 Other expenses 0 Total expenses 21.633.997 Total amount of surrenders 0 0 0 0 0 0 0 0 0 25

Appendix I: Quantitative reporting templates Premiums, claims and expenses by country S.05.02 Annual Solvency II reporting Solo (ARS) 19-05-2017 (Kladde) Årlig QRT Premiums written SolvencyTool Non-life obligations Home Country Top 5 countries (by amount of gross premiums written) Total Top 5 and home country DE FR GB GR PF Gross - Direct Business 216.968.764 115.676.625 146.759.411 658.564.514 63.808.857 61.814.129 1.263.592.301 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance 0 0 0 0 0 0 0 accepted Reinsurers' share 117.233.103 24.248.766 81.345.528 271.924.753 51.434.589 28.932.686 575.119.425 Net 99.735.662 91.427.859 65.413.883 386.639.761 12.374.268 32.881.443 688.472.876 Premiums earned Gross - Direct Business 217.385.823 110.674.154 178.056.827 527.007.482 62.523.550 60.745.960 1.156.393.797 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance 0 0 0 0 0 0 0 accepted Reinsurers' share 39.124.594 18.536.253 60.377.599 153.728.095 49.255.859 20.303.269 341.325.670 Net 178.261.230 92.137.901 117.679.228 373.279.387 13.267.691 40.442.691 815.068.127 Claims incurred Gross - Direct Business 102.474.293 491.506.687 70.472.353 48.645.986 40.438.975 34.047.993 787.586.286 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance 0 0 0 0 0 0 0 accepted Reinsurers' share 63.562.014 282.297.719 13.026.399 9.661.748 27.104.534 16.536.774 412.189.189 Net 38.912.278 209.208.968 57.445.954 38.984.237 13.334.441 17.511.219 375.397.097 Changes in other technical provisions Gross - Direct Business 0 0 0 0 0 0 0 Gross - Proportional reinsurance accepted 0 0 0 0 0 0 0 Gross - Non-proportional reinsurance accepted 0 0 0 0 0 0 0 26

Reinsurers' share 0 0 0 0 0 0 0 Net 0 0 0 0 0 0 0 Expenses incurred 54.944.325 108.381.123 14.475.213 50.640.817-627.425 13.190.838 241.004.891 Other expenses 0 Total expenses 241.004.891 Premiums written Life obligations Home Country Total Top 5 and home country Gross 0 0 Reinsurers' share 0 0 Net 0 0 Premiums earned Gross 0 0 Reinsurers' share 0 0 Net 0 0 Claims incurred Gross 97.837.514 97.837.514 Reinsurers' share 15.757.297 15.757.297 Net 82.080.217 82.080.217 Changes in other technical provisions Gross 0 0 Reinsurers' share 0 0 Net 0 0 Expenses incurred 21.633.997 21.633.997 Other expenses 0 Total expenses 21.633.997 27

Appendix I: Quantitative reporting templates Life and Health SLT Technical Provisions S.12.01.a SolvencyTool Forsikring med gevinstan dele Indeksreguleret og unit-linked forsikring Anden livsforsikring Annuiteter hidrørend e fra skadesfor sikringsaft aler og relateret til andre forsikrings forpligtels er end sygeforsik ringsforpli gtelser Livsgenforsikring Total (Life other than health insurance, incl. Unit- Linked) Sygeforsikring Annuiteter Sygegenf hidrørende orsikring fra skadesforsikr ingsaftaler og relateret til sygeforsikrin gsforpligtelse r Total (Health similar to life insurance) Contracts without options and guarantee s Contracts with options and guarantee s Contracts without options and guarantee s Contracts with options and guarantee s Insurance with profit participati on on Accepted reinsuran ce (Gross) Indexlinked and insurance Other life unit-linked on insurance Accepted on reinsuran Accepted ce reinsuran (Gross) ce (Gross) Annuities stemming from nonlife accepted insurance other than health (Gross) Contracts without options and guarantee s Contracts with options and guarantee s Technical provisions calculated as a whole 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Total Recoverables from reinsurance/spv and Finite Re after the adjustment for expected losses due to 0 0 0 0 0 0 0 0 0 0 counterparty default associated to TP as a whole Technical provisions calculated as a sum of BE and RM Best Estimate Gross Best estimate 0 0 0 0 0 0 0 0 0 0 140.453.137 0 140.453.137 Total Recoverables from reinsurance and SPV after the adjustment for expected losses due to counterparty default 0 0 0 0 0 0 0 0 0 0 18.345.287 0 18.345.287 Best estimate minus recoverables from reinsurance and SPV - total 0 0 0 0 0 0 0 0 0 0 122.107.850 0 122.107.850 Risk Margin 0 0 0 0 0 0 0 1.314.517 0 1.314.517 Amount of the transitional on Technical Provisions Technical Provisions calculated as a whole 0 0 0 0 0 0 0 0 0 0 Best estimate 0 0 0 0 0 0 0 0 0 0 0 0 0 Risk margin 0 0 0 0 0 0 0 0 0 0 Technical provisions - total 0 0 0 0 0 0 0 141.767.654 0 141.767.654 28

Appendix I: Quantitative reporting templates Non-life Technical Provisions S.17.01.a Solo quarterly (a) 10-03-2017 (Publiceret) Alpha Ins Solo Q4 - efter rettelser Forsikring vedrørende udgifter til lægebehan dling Forsikring vedrørende indkomstsik ring Arbejdsskadef Motoransvarsf Anden orsikring orsikring Direct business and accepted proportional reinsurance motorforsikrin g Sø-, luftfarts- og transportfor sikring Brand og andre skader på ejendom Almindelig ansvarsforsikri ng Kredit- og Retshjælpsf Assistance Diverse kautionsfors orsikring ikring økonomiske tab Accepted non-proportional reinsurance Ikkeprop Ikkeprop ortional ortional sygegenf ulykkesg orsikring enforsikri ng Ikkeprop ortional luftfarts-, sø- og transport genforsik ring Ikkeprop ortional ejendom sgenforsi kring SolvencyTool Technical provisions calculated as a whole 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Total Recoverables from reinsurance/spv and Finite Re after the adjustment for expected 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 losses due to counterparty default associated to TP as a whole Technical provisions calculated as a sum of BE and RM Best estimate Premium provisions Gross - Total 0-131.163 1.703.135 71.967.562 77.643.656 6.916.129 93.345 1.586.765-374.879 625.204 0 22.619.158 0 0 0 0 182.648.912 Total recoverable from reinsurance/spv after the adjustment for expected losses due to counterparty default 0 767.732 1.637.254 30.695.552 37.928.024 6.195.371-37.208 737.587 91.794 464.884 0 13.390.304 0 0 0 0 91.871.295 Net Best Estimate of Premium Provisions 0-898.895 65.882 41.272.009 39.715.633 720.758 130.553 849.178-466.673 160.320 0 9.228.854 0 0 0 0 90.777.617 Claims provisions Gross - Total 0 12.747.847 374.853.551 295.119.032 347.594.460 29.272.617 49.707.030 232.814.950 17.706.469 3.791.809 744 3.827.704 0 0 0 0 1.367.436.213 Total recoverable from reinsurance/spv after the adjustment for expected losses due to counterparty default 0 3.677.360 185.436.774 248.476.511 293.987.875 24.777.075 3.061.771 193.702.312 9.265.063 2.154.377 0 2.889.601 0 0 0 0 967.428.719 Net Best Estimate of Claims Provisions 0 9.070.487 189.416.777 46.642.521 53.606.585 4.495.542 46.645.259 39.112.638 8.441.406 1.637.432 744 938.103 0 0 0 0 400.007.494 Total Best estimate - gross 0 12.616.684 376.556.686 367.086.594 425.238.116 36.188.746 49.800.375 234.401.715 17.331.590 4.417.013 744 26.446.862 0 0 0 0 1.550.085.125 Total Best estimate - net 0 8.171.592 189.482.659 87.914.530 93.322.218 5.216.300 46.775.812 39.961.816 7.974.733 1.797.752 744 10.166.957 0 0 0 0 490.785.111 Risk margin 0 779.656 13.095.936 3.631.670 3.987.747 242.980 3.341.149 2.226.673 576.808 227.453 32 677.578 0 0 0 0 28.787.683 Amount of the transitional on Technical Provisions TP as a whole 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Best estimate 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Risk margin 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Technical provisions - total Technical provisions - total 0 13.396.340 389.652.622 370.718.263 429.225.863 36.431.726 53.141.524 236.628.388 17.908.398 4.644.466 776 27.124.440 0 0 0 0 1.578.872.808 Recoverable from reinsurance contract/spv after the adjustment for expected losses due to counterparty default - total 0 4.445.092 187.074.028 279.172.063 331.915.899 30.972.446 3.024.563 194.439.899 9.356.857 2.619.261 0 16.279.905 0 0 0 0 1.059.300.014 Technical provisions minus recoverables from reinsurance and SPV - total 0 8.951.248 202.578.595 91.546.200 97.309.964 5.459.280 50.116.961 42.188.489 8.551.541 2.025.205 776 10.844.535 0 0 0 0 519.572.794 Total Non-Life obligation 29